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The significance of the market portfolio : theory and evidence
Athanasoulis, Stefano; Shiller, Robert J. - In: Current trends in economics : theory and applications; …, (pp. 73-105). 1999
Persistent link: https://www.econbiz.de/10001365492
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Consumption-portfolio choice with preferences for cash
Kraft, Holger; Weiss, Farina - In: Essays on empirical asset pricing and …, (pp. 159-191). 2017
This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption and portfolio strategy both in an infinite- and finite-horizon setting....
Persistent link: https://www.econbiz.de/10012306074
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Consumption-portfolio choice with preferences for cash
Kraft, Holger; Weiss, Farina - In: Journal of economic dynamics & control 98 (2019), pp. 40-59
Persistent link: https://www.econbiz.de/10012130690
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Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015066357
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …
Persistent link: https://www.econbiz.de/10011431503
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
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Consumption and portfolio optimisation at the end of the life-cycle
Schiess, David (contributor) - 2007
Persistent link: https://www.econbiz.de/10003717538
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Optimal futures heading: quadratic versus exponential utility functions
Lien, Da-hsiang Donald - In: The journal of futures markets 28 (2008) 2, pp. 208-211
Persistent link: https://www.econbiz.de/10003647714
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Two-fund separation in dynamic general equilibrium
Schmedders, Karl (contributor) - 2004
This paper examines the two-fund separation paradigm in the context of an infinite-horizon general equilibrium model with dynamically complete markets and heterogeneous consumers with time- and state-separable utility functions. With the exception of the dynamic structure, we maintain the...
Persistent link: https://www.econbiz.de/10003779272
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Portfolio delegation under short-selling constraints
Gómez, Juan-Pedro; Sharma, Tridib - In: Economic theory : official journal of the Society for … 28 (2006) 1, pp. 173-196
Persistent link: https://www.econbiz.de/10003315313